The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

DOI10.1080/17442508.2018.1499105MaRDI QIDQ5086415zbMATH OpenOpenAlexWikidataFDO

Authors Antoine Jacquier, Elisa Alòs, Jorge A. Leon

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.11232

zbMATH Keywords

forward-start optionsimplied volatilityMalliavin calculusstochastic volatility models

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.

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Cites work

• Affine processes and applications in finance
• Asymptotics of Forward Implied Volatility
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• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• Large-maturity regimes of the Heston forward smile
• On the pricing of forward starting options in Heston's model on stochastic volatility
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Stock price distributions with stochastic volatility: an analytic approach
• The Malliavin Calculus and Related Topics
• The small-maturity Heston forward smile

Cited in

(7)

• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Forward and future implied volatility
• On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
• On smile properties of volatility derivatives: understanding the VIX skew
• On the Skew and Curvature of the Implied and Local Volatilities
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• Short time behavior of the ATM implied skew in the ADO-Heston model

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